Using a massive data set containing the trading history
of 19,487 German investors over seven years, they examined
if and how investors improve.

Here's what their results told them:

Investors do not learn from underdiversification

A possible culprit? Stock picking. Citing Hirschleifer (2010),
the authors explain that social interactions can drive
underdiversifaction. Investors like to tell peers about
successful trades. Picking a few volatile stocks is more likely
to lead to a notably successful investment than replicating the
market. That leads to active investment behavior and
underdiversification.

Investors learn from overconfidence

The proxy for overconfidence in the model was trading frequency.
When investors first start, they take too much credit for
successful investments, and tend to be overconfident and over
trade. As time passes, they gain a more realistic view of their
skills and the transaction costs associated with over trading.
There was a significant reduction of trading activity as
investors gained more experience.

Experience does not decrease the disposition
effect

The disposition effect is the tendency, described in behavioral
finance, for investors to sell shares that rise in value and hold
shares that fall. Basically, they are (irrationally) more willing
to recognize gains than losses. The costs of over trading are
easy to detect with every statement of trading fees. The
disposition effect is a quieter and more difficult mistake to
catch.

The study found that, overall, investors do improve their returns
with experience. That finding is more robust for overall
portfolio returns over time (calculated with the Modified Dietz
method) than risk adjusted returns (calculated via the Sharpe
Ratio). The authors ascribe the improvement in returns to
investor learning from overconfidence. One of their
specifications found that 100 additional active trades are
associated with a portfolio performance increase of 0.15 percent
per month. Their results were significant at both the one and
five percent confidence interval.